"She does whatever she wants. She loves men and she will sleep with them, and no one is going to force her to apologise for that," Davis says.
The character has been compared to a female James Bond, and Davis welcomes the comparison - believing that they do share similarities.
"She [Phyrne] believes that women should have the right to be the masters of their own body and their own lives," she adds.
The connection to Miss Fisher is so deep for some that Davis has had people tell her Phyrne saved their lives.
"It feels like a massive responsibility but I'm also deeply happy that she's important for that many people," says Davis.
The show is available on Netflix in New Zealand; fans of the series won't be disappointed by the movie, which picks up shortly after where the show left off.
"I love that in a feature there is an hour and a half to solve a murder...and the ability to cross continents to solve the mystery and follow the trails," Davis says.
The movie's stunning filming locations include Morocco and the Sahara Desert. The premise promises a wild ride: Miss Fisher seeks to unravel an ancient mystery complete with a curse, the disappearance of a tribe, and of course murder.
Davis' favourite costume in the movie is Miss Fisher's black and white safari outfit.
"It's not exactly SPF 50," laughs Davis, but she says it's an example of her character's glamorous yet practical styles, which she loves.
Given fan's enthusiasm for their beloved Phyrne Fisher, is the movie the last fans will see of their favourite character?
"Never say never," Davis says.
THE LOWDOWN
Who: Essie Davis
What: Star of Miss Fisher and the Crypt of Tears
Where: Out now on video on demand platforms including Apple, Lightbox, Google Play and Sky.